Hi Yuki, First, I have no idea what the Blank was all about .... it is not in the outgoing message in my folder. Windows strikes again!!!.
About volatility, I have frrquently walked away from computer from boredom... don't know which is easier ... change my temperment or find a predictor ... Hope herman's attempt bring something useful. Ara ----- Original Message ----- From: "Yuki Taga" <[EMAIL PROTECTED]> To: "Ara Kaloustian" <[email protected]> Sent: Sunday, January 07, 2007 2:59 PM Subject: Re: [amibroker] Real-Time Heat-Map (was:Displaying HOT-> COLD RGB colors) > Hi Ara, > > What's with all this Blank(Name) business, anyway? ^_^ > > To venture an answer to your question, I don't think one can predict > a breakout. But one can know that breakouts overwhelmingly spring > from periods of consolidating volatility. When? We don't know. But > breakouts very rarely come out of periods of relative high > volatility. > > So we watch when things get quiet, and we wait. It can really put > you to sleep sometimes, because it's a waiting game, that suddenly > and with little warning becomes an action game. People tend to > prefer action to waiting. Waiting is somewhat boring. > > To compound the difficulties, not all breakouts go on to do great > things. Some fail. This can cause hesitation just at the time > action is finally required. The way to overcome the hesitation is to > have the entire plan ready before the alarm bell (finally) rings. Not > half the plan ("I need to buy something."), but how much I'm going to > buy, what is my ultimate objective (not just "to make some money"), > and specific actions I'm going to take contingent on what price and > volume do. Since they can do several things, I need several plans. We > need a plan for being wrong, a plan for being modestly right, and a > plan for being spectacularly right. Impromptu doesn't keep the sushi > from sliding off the rice. ^_^ > > Yuki > > Monday, January 8, 2007, 4:40:49 AM, you wrote: > > AK> BlankHerman, > > AK> for market volatiity, I use Bollinger bands. Easy to determine > AK> volatility by looking at delta between top and botom withrespect > AK> to last price.... or any other statistical means ... but how > AK> would one relate market pressure to predict breakout ??? > > AK> Ara > AK> ----- Original Message ----- > AK> From: Herman > AK> To: [email protected] > AK> Sent: Sunday, January 07, 2007 10:30 AM > AK> Subject: RE: [amibroker] Real-Time Heat-Map (was:Displaying HOT-> > COLD RGB colors) > > > AK> Ara, last year I tried to get High-Frequency trading to work > AK> but after spending quite a bit of time on it, I found that the > AK> data delays/flaws and the divergence of Backtesting result wrt > AK> Real-Trading results were insurmountable. Automated > AK> trade-executions were not the problem, that worked fine. It was a > AK> disappointment... anyway, I decided to set the limit for > AK> development at the 1-Minute timeframe; this is approximately > AK> where developmental results (for me) diverge from reality. I > AK> still will be using AT but not in the 5-sec TimeFrame. > > AK> Right now i am exploring different options, not sure where > AK> I'll be heading. I tried to make a map that would display > AK> short-termtrends (like a continuous real-time scan). Such a map > AK> would give me a visual presentation of overall market activity. > AK> Backtesting doesn't give me a feel for how often and for which > AK> stocks tradable events happen in Real Time. A map can show short > AK> term conditions/signal/trade activity for 100 stocks at a glance! > AK> Like stars sparkling in the sky :-) It gives me a much better > AK> appreciation for market activity. The maps are also usefull for > AK> other purposes, like to display order/system status and/or > AK> portfolio/account status. I prefer everything in one window. > > AK> On the other list Yuki suggested looking at narrowing > AK> volatility and I though that was a good idea. It would be neat to > AK> have maps that change color as market pressure for a breakout > AK> builds up... but I haven't had a chance to look at this yet. To > AK> many ideas but not enough time... > > AK> best regards, > AK> herman > > > > > AK> -----Original Message----- > AK> From: [email protected] > AK> [mailto:[EMAIL PROTECTED] Behalf Of Ara Kaloustian > AK> Sent: January 7, 2007 11:41 AM > AK> To: [email protected] > AK> Subject: Re: [amibroker] Real-Time Heat-Map (was:Displaying HOT-> > COLD RGB colors) > > > AK> Herman, > > AK> Heat map makes visual very easy .... > > AK> Are you getting away from full auto trade? Is the heat map > AK> approach preferred to auto trade? > > AK> Ara > AK> ----- Original Message ----- > AK> From: Herman > AK> To: AmiBroker YahooGroups > AK> Sent: Sunday, January 07, 2007 5:23 AM > AK> Subject: [amibroker] Real-Time Heat-Map (was:Displaying HOT-> > COLD RGB colors) > > > AK> Actually this is just my first try and the code is still > AK> evolving. We used to do this type of tabling with AA Explorations > AK> however for Real-Time applications I prefer the display on the > AK> chart. I would like to use it for portfolio trading to show me > AK> where the action is (in Real-Time) wrt my criteria. To reduce > AK> processing overhead I would map only tickers that meet my criteria. > > AK> I thought perhaps some others might see new applications > AK> for this type of display, write a standard function to display > AK> different types of maps that can be selected from the param window. > > AK> I still have some trouble automatically scaling the Hue, > AK> this requires normalizing and scaling the range, also I would > AK> like to have a sort function so that hot-cold are located at > diagonally opposite corners. > > AK> best regards, > > AK> herman > > AK> --- In [email protected], "cstrader" <[EMAIL PROTECTED]> > wrote: > AK> > > AK> > Herman: You and Amibroker make a great combination! > AK> Very cool (and hot, I suppose) work. > AK> > > AK> > Do you use the heat map as an index of the market > AK> internals for trading indices, or do you use it for trading individual > stocks? > AK> > > AK> > chuck > AK> > > AK> > > AK> > ----- Original Message ----- > AK> > From: Herman > AK> > To: AmiBroker YahooGroups > AK> > Sent: Saturday, January 06, 2007 10:50 AM > AK> > Subject: [amibroker] Real-Time Heat-Map > AK> (was:Displaying HOT-> COLD RGB colors) > AK> > > AK> > > AK> > Thanks for the help, TJ and others! > AK> > > AK> > I needed a Heat-Map that refreshes during real-time > AK> trading. Below is what I have thus far. It uses dummy data: you > AK> must define VarToMap. To save time I set it to refresh each 5 seconds. > AK> > The Ticker order is important for me, hence I plotted both > upper and lower sections. > AK> > > AK> > Any tips on how to make this work under Quick-AFL or > AK> make it faster in other ways would be appreciated. > AK> > > AK> > best regards, > AK> > herman > AK> > > AK> > > AK> > > AK> > // Heat-Map by Herman - 06DEC2007 - TEST/DEMO ONLY! > AK> > > AK> > // Set Param -> Axis & Grid: NO Middle Lines > AK> > > AK> > // Convert Variable-To-Map to 0-99 range > AK> > > AK> > // Zoom Chart to get nice display > AK> > > AK> > > AK> > > AK> > SetBarsRequired(1000000,1000000); > AK> > > AK> > GraphXSpace = 0; > AK> > > AK> > GraphZOrder = False; > AK> > > AK> > SetChartOptions( 3, chartShowDates); > AK> > > AK> > RequestTimedRefresh( MApRefreshInterval = 5 ); > AK> > > AK> > RefreshMap = Status("redrawaction"); > AK> > > AK> > WLNum = Param("WatchList Number",0,0,64,1); > AK> > > AK> > TickersToMap = Param("Num. Tickers to Map",10,1,64,1); > AK> > > AK> > MaxTickers = Param("Max. Tickers",50,2,100,1); > AK> > > AK> > MaxHue = Param("Max. Hue",255,0,255,1); > AK> > > AK> > MinHue = Param("Min. Hue",97,0,255,1); > AK> > > AK> > > AK> > > AK> > if( RefreshMap ) > AK> > > AK> > { > AK> > > AK> > TickersToMap = Min(TickersToMap, MaxTickers); > AK> > > AK> > List = CategoryGetSymbols( categoryWatchlist, > WLNum ); > AK> > > AK> > MaxList = ""; > AK> > > AK> > for( T=0; (Ticker=StrExtract( List, T))!= "" AND T < > TickersToMap; T++) > AK> > > AK> > { > AK> > > AK> > MaxList = MaxList + Ticker +","; > AK> > > AK> > StaticVarSetText("Ticker"+T, Ticker); > AK> > > AK> > } > AK> > > AK> > StaticVarSetText("MaxList",MaxList); > AK> > > AK> > BI = BarIndex(); > AK> > > AK> > MaxYCoordinate = TickersToMap; > AK> > > AK> > MinYCoordinate = 1; > AK> > > AK> > MinXBarindex = BarCount-TickersToMap; > AK> > > AK> > MaxXBarindex = BarCount-1; > AK> > > AK> > CellCount = 0; > AK> > > AK> > XCoordinate = YCoordinate = 0; > AK> > > AK> > MaxList = StaticVarGetText("MaxList"); > AK> > > AK> > for( Y=MinYCoordinate; Y <= TickersToMap; Y++ ) > AK> > > AK> > { > AK> > > AK> > for( X=MinXBarindex; X <= MaxXBarindex; X++ ) > AK> > > AK> > { > AK> > > AK> > XTicker = StaticVarGetText("Ticker"+XCoordinate); > AK> > > AK> > YTicker = StaticVarGetText("Ticker"+YCoordinate); > AK> > > AK> > VarToMap = CellCount; // must be in range 0-99 > AK> > > AK> > StaticVarSet(XTicker+"-"+YTicker, VarToMap); > AK> > > AK> > XCoordinate++; > AK> > > AK> > CellCount++; > AK> > > AK> > } > AK> > > AK> > XCoordinate=0; > AK> > > AK> > YCoordinate++; > AK> > > AK> > } > AK> > > AK> > } > AK> > > AK> > > AK> > > AK> > Plot(-1,"",1,styleNoLine|styleNoLabel); > AK> > > AK> > Plot(TickersToMap,"",1,styleNoLine|styleNoLabel); > AK> > > AK> > BI = BarIndex(); > AK> > > AK> > MaxYCoordinate = TickersToMap; > AK> > > AK> > MinYCoordinate = 1; > AK> > > AK> > MinXBarindex = BarCount-TickersToMap; > AK> > > AK> > MaxXBarindex = BarCount-1; > AK> > > AK> > YStep = int(MaxYCoordinate/TickersToMap); > AK> > > AK> > XCoordinate = YCoordinate = 0; > AK> > > AK> > for( Y=MinYCoordinate; Y<=MaxYCoordinate; Y++ ) > AK> > > AK> > { > AK> > > AK> > for( X = MinXBarindex; X <= MaxXBarindex; X++ ) > AK> > > AK> > { > AK> > > AK> > XTicker = StaticVarGetText("Ticker"+XCoordinate); > AK> > > AK> > YTicker = StaticVarGetText("Ticker"+YCoordinate); > AK> > > AK> > VarToMap = StaticVarGet(XTicker+"-"+YTicker); > AK> > > AK> > HueStep = (MaxHue - MinHue)/100; > AK> > > AK> > Co = > AK> ColorHSB(Min(255,int((100-VarToMap)*HueStep)),255,255); > AK> > > AK> > PlotText(NumToStr(VarToMap,1.0),X,Y-0.5,1); > AK> > > AK> > if( XTicker == YTicker ) Co = colorBlack; > AK> > > AK> > > AK> > Plot(IIf(X==BI,Y,Null),"",Co,styleArea|styleOwnScale|styleNoLabel,-1,MaxYCoordinate*1.03); > AK> > > AK> > XCoordinate++; > AK> > > AK> > } > AK> > > AK> > XCoordinate = 0; > AK> > > AK> > YCoordinate++; > AK> > > AK> > } > AK> > > AK> > > AK> > > AK> > for(T=0; T<=TickersToMap; T++) > AK> > > AK> > { > AK> > > AK> > Ticker = StaticVarGetText("Ticker"+T); > AK> > > AK> > PlotText(Ticker,BarCount,T+0.5,1); > AK> > > AK> > PlotText("\n"+Ticker,BarCount-TickersToMap+T,-0.5,1); > AK> > > AK> > } > AK> > > AK> > > AK> > > AK> > MaxList = StaticVarGetText("MaxList"); > AK> > > AK> > Title = "Heat Map for Watchlist > AK> #"+NumToStr(WLNum,1.0,False)+": "+MaxList; > AK> > > > > AK> > > > Best, > > Yuki > > > > Please note that this group is for discussion between users only. > > To get support from AmiBroker please send an e-mail directly to > SUPPORT {at} amibroker.com > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > For other support material please check also: > http://www.amibroker.com/support.html > > Yahoo! Groups Links > > >
